Financial Return Calculation
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13.11.2022
Co-author
Affiliation
BMO
Main category
Economics (General Management)
Abstract
There are two types of returns calculated during calibration depending on whether the risk factor is an absolute risk factor or relative risk factor. In addition, certain types of commodity risk factors require special treatment near the time of contract expiry - a process referred to as roll-over adjustment.
Further information
Further reading
https://github.com/cfrm17/returnCalculation
Language
English
DOI
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